What does your script do ?
If it is supposed to generate some output to the console, which you want to see, you have to make sure it is run in an rxvt or another xterm. Otherwise the script does not where to put it's output and runs quietly.
My workaround in ROX is to name each script, which I want to run in an xterm, with an .sh and associate the following run action with the type x-sh: